Was on Amazon Kindle a long time ago and found a collection of short stories about a desert planet of primitive aliens that had fur and changed gender a few times during their lives. In the story intersexual relationships were bad and the main character was born male, then changed to neuter, then to female.
I found it, it's the stories about the Jokka people, by M.A.C. Hogarth.
The main character I was thinking of is the protagonist of the first book, ''The Worth of a Shell''.
I remember one of the episodes of X-Files - "Gender Bender" is about aliens who changes their gender. While investigating series of murders, Mulder and Scully discovers that the religious sect may be responsible for it. Later, it was discovered that actually they were not religious sect, rather most probably aliens, who lived on Earth, USA for many years, changing their gender "in every generation". At the end of episode when federals wants to arrest them they were all gone, only thing was left behind was big circle on the ground (flying saucer?). It has very nonsensical ending.
"The Truth is Out There"